Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 29.9 +6.4%
- Euro/Yen Carry Return Index 125.60 -.34%
- Emerging Markets Currency Volatility(VXY) 9.98 +.5%
- S&P 500 Implied Correlation 61.93 +2.06%
- ISE Sentiment Index 133.0 +9.0 points
- Total Put/Call .75 -1.32%
- NYSE Arms 1.09 +1.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.87 +2.62%
- US Energy High-Yield OAS 974.15.0 +.79%
- European Financial Sector CDS Index 75.47 +3.95%
- Italian/German 10Y Yld Spread 165.75 +1.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 79.34 -1.47%
- Emerging Market CDS Index 193.66 +4.75%
- iBoxx Offshore RMB China Corporate High Yield Index 173.74 +.86%
- 2-Year Swap Spread 6.25 -.5 basis point
- TED Spread 13.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -8.75 unch.
- MBS 5/10 Treasury Spread 95.0 -4.0 basis points
- IHS Markit CMBX BBB- 6 69.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.71 +.05%
- 3-Month T-Bill Yield .13% -1.0 basis point
- Yield Curve 49.75 +1.25 basis points
- China Iron Ore Spot 102.90 USD/Metric Tonne -.25%
- Citi US Economic Surprise Index 224.1 +2.1 points
- Citi Eurozone Economic Surprise Index -49.70 -1.8 points
- Citi Emerging Markets Economic Surprise Index -18.50 +1.3 points
- 10-Year TIPS Spread 1.38 -2.0 basis points
- 100.0% chance of no change at Sept. 16 meeting, 100.0% chance of no change at Nov. 5th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -109 open in Japan
- China A50 Futures: Indicating -160 open in China
- DAX Futures: Indicating +39 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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